AMZN Options History — October 2015 In October 2015, AMZN traded between $25.71 and $31.38. ATM implied volatility averaged 41.3%, placing in the 53.7% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 9.6% (HV 20d: 31.7%). Max pain ranged from $25.00 to $28.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.99.
Notable Days 2015-10-23 : Highest Volume — 5,053,640 contracts2015-10-23 : Largest IV drop — 46.6% change2015-10-01 : Highest IV Rank — 84.4%2015-10-22 : Largest Expected Move — 14.1%Monthly Statistics Metric Avg Min Max Open Close Price $28.30 $25.71 $31.38 $25.71 $31.38 Max Pain $26.74 $25.00 $28.25 $25.00 $28.25 ATM IV 41.3% 22.0% 52.8% 52.8% 23.2% Expected Move 10.8% 6.3% 14.1% 10.4% 6.7% HV 20d 31.7% 29.1% 37.7% 29.1% 30.4% HV 60d 35.7% 31.4% 38.1% 37.6% 34.2% IV Rank 53.7% 2.3% 84.4% 84.4% 5.5% IV Percentile 73.1% 3.2% 99.2% 99.2% 12.7% Term Structure -2.2% -4.0% 1.2% -3.8% 1.2% VWIV 38.3% 22.6% 48.6% 36.8% 23.7% Skew 25d 4.8% 2.5% 7.7% 7.7% 2.5% Skew 10d 9.5% 5.5% 14.6% 14.6% 5.5% Call IV 25d 38.9% 20.8% 50.0% 50.0% 22.1% Put IV 25d 43.7% 23.7% 57.7% 57.7% 24.6% Bid-Ask Spread % 29.73 15.41 51.94 50.29 40.29 Gamma HHI 0.08 0.03 0.41 0.03 0.10 Net GEX 155.5M 1.4M 355.3M 1.4M 249.2M Net DEX -5.92B -9.42B -2.92B -2.92B -9.41B Net VEX -19.0M -21.6M -16.8M -20.6M -17.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.99 0.63 1.36 1.36 0.98 Total Volume 1,965,360.909 1,185,600 5,053,640 1,204,060 1,954,900 Total OI 9,260,414.545 7,666,540 10,532,240 9,107,180 10,105,600
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-10-01 $25.71 $25.00 52.8% 10.4% 29.1% 84.4% 36.8% 7.7% -3.8% 1.4M -2.92B -20.6M 1.36 50.29 N/A N/A 509,680 694,380 4,167,200 4,939,980 2015-10-02 $26.57 $25.00 49.5% 8.7% 31.2% 75.8% 31.9% 7.0% -3.3% 153.0M -4.69B -19.9M 1.01 51.94 N/A N/A 1,262,660 1,278,160 4,291,020 5,101,060 2015-10-05 $27.18 $26.00 48.4% 12.1% 31.4% 72.7% 43.3% 6.3% -2.7% 116.7M -5.12B -18.9M 0.94 17.69 N/A N/A 610,520 575,080 3,939,800 4,593,400 2015-10-06 $26.84 $26.00 49.1% 12.5% 29.7% 74.5% 44.6% 6.2% -3.0% 85.1M -4.49B -19.2M 1.07 15.84 N/A N/A 861,820 923,360 4,042,160 4,805,700 2015-10-07 $27.05 $26.00 49.4% 12.6% 29.7% 75.5% 45.3% 5.9% -3.0% 116.8M -4.84B -19.9M 1.19 16.51 N/A N/A 746,620 890,820 4,186,940 5,005,680 2015-10-08 $26.60 $26.00 50.8% 13.0% 30.3% 79.0% 46.7% 6.1% -3.3% 61.2M -4.08B -19.5M 0.92 15.41 N/A N/A 1,078,760 987,460 4,280,140 5,156,080 2015-10-09 $27.00 $26.00 50.2% 13.0% 30.5% 77.5% 45.7% 5.3% -3.7% 209.3M -4.95B -20.2M 0.95 15.81 N/A N/A 898,700 852,180 4,435,760 5,339,280 2015-10-12 $27.46 $26.00 47.7% 12.6% 30.5% 70.8% 44.7% 4.6% -2.8% 144.2M -5.41B -18.5M 0.83 15.76 N/A N/A 804,680 667,980 4,054,680 4,887,600 2015-10-13 $27.45 $26.25 47.3% 12.6% 30.5% 69.7% 44.5% 4.7% -2.8% 148.1M -5.36B -19.2M 1.07 18.61 N/A N/A 658,280 701,320 4,201,600 5,020,240 2015-10-14 $27.18 $26.50 47.8% 12.8% 30.7% 71.2% 45.1% 4.8% -3.3% 100.9M -4.86B -18.8M 1.13 17.60 N/A N/A 786,420 886,040 4,277,180 5,137,540 2015-10-15 $28.15 $26.50 44.8% 12.1% 32.2% 63.1% 43.3% 5.0% -3.2% 233.5M -6.67B -19.4M 0.83 22.01 N/A N/A 1,342,480 1,113,240 4,454,140 5,371,120 2015-10-16 $28.52 $26.75 43.2% 11.7% 32.4% 58.7% 41.5% 4.9% -3.3% 301.7M -7.43B -18.7M 0.76 27.50 N/A N/A 1,596,220 1,206,920 4,569,720 5,602,920 2015-10-19 $28.65 $26.75 43.5% 12.2% 32.1% 59.7% 43.0% 6.2% -3.1% 78.0M -5.39B -18.8M 1.23 26.68 N/A N/A 679,780 838,260 3,589,000 4,077,540 2015-10-20 $27.81 $27.00 46.7% 13.2% 32.8% 68.2% 45.8% 4.6% -3.3% 48.5M -4.33B -20.9M 0.93 20.80 N/A N/A 646,240 598,720 3,846,820 4,462,340 2015-10-21 $27.76 $27.25 48.7% 14.0% 32.8% 73.5% 47.9% 4.2% -4.0% 48.7M -4.23B -21.6M 0.99 28.49 N/A N/A 718,640 710,920 4,082,540 4,724,800 2015-10-22 $28.16 $27.50 48.6% 14.1% 32.9% 73.2% 48.6% 4.7% -3.5% 61.9M -4.80B -21.6M 0.63 39.78 N/A N/A 2,114,520 1,324,960 4,320,540 4,977,580 2015-10-23 $29.89 $27.63 25.9% 7.5% 37.7% 12.8% 26.9% 3.5% -0.7% 355.3M -8.10B -17.6M 0.82 35.24 N/A N/A 2,783,520 2,270,120 4,979,700 5,552,540 2015-10-26 $30.43 $27.88 22.8% 6.7% 33.9% 4.5% 24.0% 3.2% 0.6% 194.4M -7.56B -17.1M 0.96 39.91 N/A N/A 763,360 734,540 4,008,780 4,801,060 2015-10-27 $30.56 $28.00 22.5% 6.5% 32.5% 3.5% 23.0% 3.1% 1.1% 204.1M -7.92B -17.1M 1.17 48.70 N/A N/A 620,280 723,580 4,142,160 4,996,000 2015-10-28 $30.84 $28.00 22.0% 6.3% 31.5% 2.3% 22.6% 2.9% 1.2% 224.5M -8.37B -17.4M 1.03 47.71 N/A N/A 792,480 818,860 4,247,100 5,194,280 2015-10-29 $31.33 $28.00 23.4% 6.7% 31.5% 6.0% 24.2% 2.6% 0.9% 284.2M -9.42B -16.8M 1.02 41.57 N/A N/A 1,094,820 1,115,660 4,362,560 5,397,240 2015-10-30 $31.38 $28.25 23.2% 6.7% 30.4% 5.5% 23.7% 2.5% 1.2% 249.2M -9.41B -17.2M 0.98 40.29 N/A N/A 985,300 969,600 4,490,520 5,615,080
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